https://jfmp.sbu.ac.ir/ Financial Management Perspective en daily 1 Wed, 21 Jan 2026 00:00:00 +0330 Wed, 21 Jan 2026 00:00:00 +0330 https://jfmp.sbu.ac.ir/article_106686.html Introduction:Predicting asset returns, managing tail risk, and constructing efficient portfolios are major challenges in financial markets, particularly in highly volatile and non-stationary environments such as the Iranian capital market. Most previous studies have focused on only one component return prediction, asset selection, or portfolio optimization and few have offered an integrated framework capable of performing these tasks simultaneously and intelligently. To address this gap, the present study proposes an innovative framework for intelligent stock portfolio optimization based on ensemble machine learning and the Aquila metaheuristic optimization algorithm, designed to improve return prediction accuracy and reduce tail risk using the Conditional Value-at-Risk (CVaR) criterion. Methods:Daily data from all listed and over-the-counter companies in Iran from April 2013 to October 2024 were used in this study. After data preprocessing and the removal of inconsistent or insufficiently covered symbols, 370 stocks were retained. In the first stage, an ensemble learning model comprising Random Forest, Adaptive Boosting, and Extreme Gradient Boosting was developed. The Aquila metaheuristic algorithm simultaneously performed three tasks: identifying influential features, tuning hyperparameters, and optimizing the weights of the base algorithms. The fitness function combined the mean squared error of stock returns with a penalty for feature set size. The optimized model was then used to predict future returns for all stocks, and based on prediction error, 30 stocks with the highest behavioral stability were selected. In the second stage, these 30 stocks were incorporated into the convex optimization framework of Rockafellar and Uryasev’s CVaR model to determine optimal portfolio weights for target returns of 0.2%, 0.5%, and 0.8%. Portfolio performance was evaluated using the Sortino & Sharp ratios, and the Acerbi–Szekely backtesting procedure was employed to assess the accuracy of tail-risk estimation. Results and discussion: The ensemble learning model enhanced by the Aquila metaheuristic algorithm successfully identified a compact yet highly effective set of price-, trend-, volatility-, and volume-based features, achieving a high level of predictive accuracy. The portfolio constructed with a target return of 0.5% demonstrated the best overall performance, achieving the highest Sortino & Sharp ratios at both the 95% and 99% confidence levels. Compared with an index-based portfolio, this strategy improved risk-adjusted performance by approximately 24%. Additionally, around 76% of the optimal portfolio weight was allocated to only eight top-performing stocks, mainly from the refining, petrochemical, and investment industries, which exhibited low correlation during market stress. The Acerbi–Szekely test confirmed that the CVaR model was well-calibrated and free from risk underestimation. Conclusions:This study introduces the first integrated framework that unifies three core components of financial decision-making and return prediction, intelligent asset selection, and advanced portfolio optimization-within a single, intelligent hybrid system. The results demonstrate that integrating ensemble learning with the Aquila metaheuristic algorithm under the CVaR framework can meaningfully reduce portfolio downside risk while enhancing risk-adjusted returns. This framework offers practical value for investment funds, asset managers, and institutional investors and can be extended to other emerging markets. https://jfmp.sbu.ac.ir/article_106687.html Abstract Objective: Investment efficiency is a key indicator for evaluating a firm's ability to optimally allocate financial resources to profitable projects. Inefficient investment, whether underinvestment or overinvestment, can reduce firm value and increase financial risk. Financial flexibility, defined as a firm’s ability to maintain financing capacity, manage capital structure, and respond quickly to environmental changes without incurring substantial external financing costs, plays a critical role in enhancing investment efficiency. However, managerial and behavioral mechanisms, such as conditional conservatism in financial reporting and agency costs, may moderate or attenuate the effect of financial flexibility. This study aims to examine the impact of financial flexibility on investment efficiency and to assess the moderating roles of conditional conservatism and agency costs in this relationship. Method: This research is correlational in nature and applied in purpose. The statistical sample consists of 151 firms listed on the Tehran Stock Exchange during the period 2013 to 2023, selected through the screening method. To test the hypotheses, panel regression models with fixed effects were employed, using EViews 12 and Stata 17 software. Findings: The results of testing the first hypothesis indicate that financial flexibility has a positive and significant effect on investment efficiency. Firms with higher financial flexibility are able to allocate resources to profitable projects and avoid inefficient investment. This suggests that financial flexibility enables firms to effectively seize investment opportunities while mitigating the risks of inefficiency and potential bankruptcy. The results of the second hypothesis show that conditional conservatism weakens the positive effect of financial flexibility on investment efficiency. Firms that adopt more conservative financial reporting policies may not fully utilize their financial resources for investment opportunities. While conditional conservatism increases managerial caution, thereby limiting full exploitation of financial flexibility, it also contributes to preventing overinvestment and improving informational transparency. The results of the third hypothesis indicated that agency costs do not significantly affect the relationship between financial flexibility and investment efficiency. Robustness tests using two alternative measures-asset turnover ratio and free cash flow (FCF)-indicated that agency costs have a reinforcing effect based on asset turnover, while no significant moderating effect was observed with FCF. These results suggest that effective corporate governance and oversight in listed companies mitigate the negative impact of agency costs, limiting their influence on investment efficiency under conditions of adequate transparency. Conclusion: The study highlights financial flexibility as a key driver of investment efficiency, allowing well-capitalized firms to make more effective and lower-risk investment decisions. Conditional conservatism moderates this effect by limiting the full benefits of flexibility while reducing overinvestment risk. Additionally, effective corporate governance mitigates the negative impact of agency costs on investment efficiency. Based on the results, managers are recommended to optimize the mix of financing sources, manage liquidity efficiently, and strategically apply dividend and earnings retention policies to enhance investment efficiency. Investors can use the level of firms’ financial flexibility to manage financial risk and long-term returns, and policymakers can facilitate better utilization of financial flexibility by improving transparency and developing flexible financial instruments. Overall, this research provides empirical evidence on the relationship between financial flexibility and investment efficiency and offers practical guidance for managerial and investment decision-making, highlighting the importance of managerial and governance mechanisms in the optimal allocation of financial resources. https://jfmp.sbu.ac.ir/article_106688.html هدف: رابطه میان نااطمینانی سیاست اقتصادی و نوسانات بازار سهام، یکی از موضوعات چالش‌برانگیز در ادبیات مالی است. از یک سو، شواهد تجربی پدیده‌ای موسوم به «معمای نااطمینانی شدید سیاست اقتصادی و نوسان اندک بازار سهام» را گزارش کرده‌اند که مبانی نظری را به چالش می‌کشد. از سوی دیگر، برخی مطالعات بر وجود علیت دو سویه و پویا میان این دو متغیر تأکید دارند. این ابهامات در اقتصاد ایران، که با شرایط ویژه‌ای مواجه است، اهمیت بیشتری می‌یابد. هدف اصلی این پژوهش، ارائه شواهدی نوین و جامع برای روشن ساختن این پویایی‌های پیچیده در اقتصاد ایران است. این تحقیق به طور مشخص می‌کوشد با تفکیک رابطه در گستره زمان و فرکانس، به این پرسش پاسخ دهد که آیا جهت و شدت رابطه علی میان این دو متغیر در افق‌های زمانی کوتاه‌مدت، میان‌مدت و بلندمدت متفاوت است و آیا معمای مذکور در اقتصاد ایران مصداق دارد یا خیر.روش: این پژوهش با استفاده از داده‌های دوره زمانی 1387 تا 1402 برای اقتصاد ایران و با به‌کارگیری دو رویکرد اقتصادسنجی انجام شده است. برای سنجش پویایی‌های زمانی در رابطه علی، از آزمون علیت گرنجری پنجره غلتان استفاده شد. این روش قادر است تغییرات ساختاری و ناپایداری در رابطه علی را در طول زمان شناسایی کند. در ادامه، برای تحلیل همزمان رابطه در حوزه زمان و فرکانس و تفکیک آن در افق‌های زمانی مختلف، از تکنیک تبدیل موجک پیوسته بهره گرفته شد. این ابزار از طریق تحلیل همدوسی، اطلاعات دقیقی در مورد شدت هم‌حرکتی و جهت علیت (پیشرو یا پیرو بودن متغیرها) در مقیاس‌های کوتاه‌مدت، میان‌مدت و بلندمدت ارائه می‌دهد.یافته‌ها: نتایج آزمون علیت گرنجری پنجره غلتان، وجود یک رابطه علی یک‌طرفه و پایدار از نااطمینانی سیاست اقتصادی به نوسان بازار سهام را در کل دوره تأیید کرد. با این حال، این رابطه در بازه زمانی نیمه دوم دهه 1390 معناداری آماری خود را از دست داد که شواهد محکمی برای وجود «معمای نااطمینانی» در اقتصاد ایران فراهم می‌کند. تحلیل موجک پیوسته نشان داد که این رابطه به شدت به افق زمانی وابسته است. در افق کوتاه‌مدت (کمتر از 6 ماه)، رابطه میان دو متغیر ناپایدار بوده و جریان علی اغلب خلاف فاز (معکوس) است، که وجود معمای مذکور را در این افق زمانی تأیید می‌کند. در مقابل، در افق‌های میان‌مدت و بلندمدت (بیش از 6 ماه)، یک رابطه علی مثبت، پایدار و هم‌فاز از سمت نااطمینانی سیاست اقتصادی به نوسانات بازار سهام برقرار است. به عبارت دیگر، در این افق‌ها، افزایش نااطمینانی به طور معناداری منجر به افزایش نوسانات بازار سهام می‌شود که با مبانی نظری کلاسیک کاملاً سازگار است.نتیجه‌گیری: این پژوهش نتیجه می‌گیرد که معمای نااطمینانی سیاست اقتصادی و نوسان اندک بازار سهام در اقتصاد ایران، یک پدیده اساساً کوتاه‌مدت است. در حالی که واکنش‌های بازار در کوتاه‌مدت می‌تواند تحت تأثیر عواملی مانند ریسک‌گریزی شدید و کاهش نقدینگی، خلاف انتظار باشد، رابطه مثبت و بی‌ثبات‌کننده نااطمینانی بر بازار سهام در افق‌های میان‌مدت و بلندمدت به قوت خود باقی است. این تفکیک میان افق‌های زمانی، به حل تناقضات موجود در ادبیات کمک شایانی می‌کند. یافته‌ها برای سرمایه‌گذاران این پیام را دارد که استراتژی‌های خود را باید با توجه به افق زمانی واکنش بازار به شوک‌های سیاستی تنظیم کنند. برای سیاست‌گذاران نیز این نکته را برجسته می‌سازد که برای تضمین ثبات بلندمدت بازارهای مالی، ایجاد یک محیط سیاستی شفاف، پایدار و قابل پیش‌بینی امری ضروری است، زیرا اثرات مخرب نااطمینانی در بلندمدت اجتناب‌ناپذیر خواهد بود. بنابراین، اتخاذ سیاست‌های اقتصادی شفاف، پایدار و قابل پیش‌بینی برای حفظ ثبات بلندمدت بازار سرمایه امری ضروری است. https://jfmp.sbu.ac.ir/article_106751.html Introduction: Technological innovation has emerged in recent decades as one of the primary drivers of sustainable competitive advantage and long-term corporate growth. In complex economic environments, the ability of firms to develop and apply new technologies plays a decisive role in enhancing productivity and financial performance. However, this innovative capacity is not solely dependent on strategic intent or technical expertise; it is strongly influenced by financial structures and the level of access to capital resources. Financialization, as a key dimension of corporate finance, can exert dual effects on innovation: on the one hand, by increasing liquidity and expanding financing channels, it facilitates innovation; on the other hand, excessive focus on short-term financial assets may restrict resources allocated to research and development. Previous studies have primarily examined the direct effect of financialization on innovation, while the moderating role of financial constraints has received far less attention. In the domestic literature, the focus has largely been on the general consequences of financialization, leaving a significant gap regarding how financial constraints influence this relationship. To address this gap, the present study investigates the moderating role of financial constraints in the relationship between financialization and technological innovation among firms listed on the Tehran Stock Exchange during the period 2018–2023. Methods: This research is descriptive–correlational in nature and applied in purpose. The statistical population includes all firms listed on the Tehran Stock Exchange during the study period. After applying research limitations and systematically excluding firms with incomplete data or irregular reporting, a final sample of 224 firms was selected. Data were organized using Excel and analyzed with EViews 10. Descriptive statistics such as means and standard deviations were reported for the main variables. Inferential analysis included unit root tests, the F-Limer test to determine panel data structure, the Hausman test to select the appropriate model, significance tests of regression coefficients, and sensitivity analysis to assess the robustness of results. Results and discussion: The results of the first model indicate that corporate financialization under normal conditions exerts a positive and statistically significant effect on technological innovation (coefficient = 0.27, p = 0.004). This suggests that financialization, by enhancing liquidity and improving access to financial resources, strengthens firms’ capacity for innovation. In contrast, the second model reveals that under financial constraints, the coefficient of financialization is negative and significant (coefficient = –0.54, p = 0.000). This finding aligns with the “substitution effect” in the financialization literature, whereby firms facing resource shortages divert their limited capital toward short term, highly liquid financial assets and neglect long term investments in research and development. However, the moderating role of financial constraints was found to be insignificant (coefficient = 0.10, p = 0.62), indicating that financial constraints did not significantly alter the relationship between financialization and innovation. Overall, the effect of financialization on innovation appears conditional and dependent on firms’ financial status. Conclusions: This study demonstrates that corporate financialization can serve as a driver of technological innovation under normal conditions, yet in the presence of financial constraints its positive impact diminishes and even turns negative. Although the moderating role of financial constraints was not statistically confirmed, its importance as a key contextual factor in analyzing the financialization–innovation nexus remains evident. Accordingly, firms are advised to mitigate financial constraints through capital structure adjustments, improved asset efficiency, and diversification of funding sources. Managers should also carefully assess internal financial capacity and financing risks during the financialization process to avoid adverse effects on innovation. At the macro level, policymakers can reinforce the link between financialization and innovation by designing supportive instruments and expanding modern financing mechanisms—such as venture capital funds and innovation bonds—to facilitate access to financial resources for innovative firms. Such measures can enhance productivity, foster sustainable growth, and strengthen firms’ competitiveness in both domestic and international markets. https://jfmp.sbu.ac.ir/article_106858.html Introduction: Agency theory attributes managers' opportunistic behaviors, including tax avoidance, to conflicts of interest with shareholders. In contrast, signaling theory introduces the selection of high-quality auditors as a mechanism to signal transparency to the capital market. Meanwhile, managerial conservatism, as a corporate governance mechanism, can reduce agency costs and moderate opportunistic behaviors. Given the importance of tax revenues in Iran's economy and the role of audit quality in financial information transparency, this study investigates the mediating role of conservatism in the relationship between tax avoidance and audit quality. Previous research has primarily examined the effect of tax avoidance on firms' returns and profitability, but the relationship between tax avoidance and audit quality with the mediating role of managerial conservatism in the Iranian Stock Exchange has not been investigated. This study contributes to the literature by examining whether conservatism can moderate the link between tax avoidance and audit quality. To this end, two hypotheses based on theoretical foundations were developed and tested: the first hypothesis examines the significant relationship between tax avoidance and audit quality, and the second hypothesis tests the moderating role of managerial conservatism. Method: This study is applied in terms of purpose and quantitative in nature, examining the relationship between tax avoidance and audit quality with an emphasis on the moderating role of managerial conservatism. The statistical population includes all non-financial companies listed on the Tehran Stock Exchange during the period from 2013 to 2024. Instead of conventional sampling methods, a criterion-based screening method was used to include all eligible companies in the study. Companies that did not meet the entry criteria were systematically excluded. Finally, the final sample consisted of 136 companies that met all research conditions during the study period. Data analysis was performed using a combination of statistical and data mining methods. Descriptive statistics were calculated using SPSS software version 24. To test the research hypotheses, multivariate regression models were estimated using Eviews software version 12. Furthermore, to enhance the robustness of the results and investigate possible nonlinear relationships between variables, the decision tree data mining model was used as a complementary method using SPSS Modeler software version 18. Findings: The findings of this study indicate a statistically significant negative relationship between tax avoidance and audit quality, meaning that an increase in the level of corporate tax avoidance is associated with a decrease in audit quality. The results of supplementary analyses indicate that managerial conservatism plays a significant moderating role in the relationship between tax avoidance and audit quality, such that managerial conservatism reduces and moderates this negative relationship. Furthermore, the results of the decision tree data mining model confirm the effect of tax avoidance on audit quality and indicate that firm size and managerial conservatism have the greatest impact on the audit quality of the examined companies. Conclusion: The overall results of the study indicate a significant negative relationship between tax avoidance and various dimensions of audit quality. Specifically, higher levels of tax avoidance are associated with reduced audit quality, indicating that companies employing aggressive tax avoidance strategies typically experience lower audit quality. Additionally, managerial conservatism plays a significant moderating role in the relationship between tax avoidance and audit quality, with conservative management reducing the negative effects of tax avoidance on audit quality. It should be noted that this moderating effect on the relationship between tax avoidance and auditor tenure was not significant, which may be due to the predominance of institutional and regulatory factors such as auditor rotation requirements over managerial tendencies. The results of the decision tree data mining model also confirm the above findings. Based on these findings, firm size and managerial conservatism were identified as determining and statistically significant factors in all audit quality measurement criteria. Furthermore, the variables of tax avoidance, accruals, and return on assets showed statistically significant effects on audit quality in most cases. Based on the findings of this study, strengthening financial and tax transparency and supervision, utilizing advanced technologies such as artificial intelligence in auditing, improving reporting standards and corporate governance requirements, and enhancing the knowledge of market participants are recommended. Investors should also pay special attention to companies' tax behavior, audit quality, and managerial conservatism, and avoid investing in companies that pursue aggressive tax avoidance strategies. https://jfmp.sbu.ac.ir/article_106867.html Objective: With the expansion of the fixed-income fund market in recent years in Iran’s capital market, the need to examine the performance of these funds has become increasingly important. This study investigates the performance differences between large and small investment funds in Iran’s capital market. The significance of this issue stems from the sharp increase in the number of fixed-income funds during this period, as well as the conflicting evidence in international literature. While some studies emphasize the benefits of economies of scale in large funds, others report a decline in efficiency as fund size grows. The central question of this research is whether there is a significant difference in the returns and risks of large versus small funds, and what implications these differences hold for investors. Method: Using monthly return data from fixed-income funds, this study compares the returns of small funds with those of large funds. To this end, data on returns, total assets under management, and net asset value of fixed-income funds were collected for the period from the beginning of 2021 to the end of June 2025. For each month, the return of a portfolio consisting of the smallest funds was compared with that of a portfolio consisting of the largest funds. Ultimately, the Wilcoxon test was employed to compare the returns of the two groups. To assess risk, a paired bootstrap method and the Wilcoxon test were applied to the distributions. In addition, the Sharpe ratio was calculated for both groups to compare large and small funds. Findings: The findings of this study indicate that the monthly returns of small fixed income funds are significantly higher than those of large funds, with average returns of 1.8629% for small funds and 1.7963% for large funds. In addition, the paired Wilcoxon test and paired bootstrap analysis confirmed that risk (return dispersion and variance) is significantly higher in small funds, with a variance ratio of 0.67 and a 95% confidence interval. Finally, the calculation of the Sharpe ratio showed that the risk adjusted performance of large funds is slightly better than that of small funds, thereby rejecting the research hypotheses stating that there is no significant difference in return and risk between the two groups. Examination of the Sharpe ratio, which reflects risk adjusted performance, demonstrated that large funds exhibit higher desirability. In other words, although the returns of small funds are higher than those of large funds, their excess returns are lower relative to the level of risk undertaken. Conclusion: The results of this research can be interpreted within the context of the Iranian capital market, which is characterized by high inflation, interest rate volatility, and geopolitical risks. Smaller funds have managed to achieve higher returns, but these returns have also been accompanied by greater risk. Conversely, larger funds have yielded lower returns but have exhibited correspondingly lower risk. These characteristics create a competitive advantage for larger funds in the Iranian market, where investors often seek to preserve asset value against numerous systematic risks. These findings suggest that large funds demonstrate more stable returns and better risk management compared to small funds. From a policy-making perspective, oversight of smaller funds appears necessary due to the higher risks they exhibit.